Thermal Grease does not come with the CPU or Stock Heatsink. Although, at stock HS probably comes with a Thermal Pad installed. Which is ok for standard use. If you plan on overclocking, a high-quality thermal grease, "ARCTIC SILVER #5" is the only thing I and many others would recommend.
The extra $6.00 will be worth it.
If you do go with the AS5 and your HS comes with a thermal pad, make sure you completely remove all thermal pad material and completely clean the surface of the HS. Make sure it's clean enough to eat off of.
For instructions and more info: http://www.arcticsilver.com/arctic_s...tions_big2.htm